11.The Central Bank’s approach to minimum required capital for CVA risk is based closely on the standardised approach to CVA risk capital described in Basel III: A global regulatory framework for more resilient banks and banking systems (BCBS 189, December 2010, rev June 2011). A few elements also draw on clarifications and other information provided in BCBS publications responding to Frequently Asked Questions, or clarifications contained in Basel III: Finalising post-crisis reforms published by the BCBS in December 2017.

12.Regulatory CVA may differ from the CVA calculated under IFRS or other accounting standards. In particular, regulatory CVA excludes any consideration of the effect of changes in a bank’s own credit risk as perceived by the market. This means that regulatory CVA calculations do not consider so-called debit valuation adjustments, or DVA.